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Louis · 2021年10月31日

请问bond yield需要用building block计算吗

NO.PZ2018091901000057

问题如下:

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table, calculate the historical Australian equity risk premium by the “equity-vs-bonds” premium method.

选项:

A.

4.6%

B.

2.7%

C.

1.8 %

解释:

C is correct.

The historical equity risk premium is 1.8%, calculated as follows:

Historical equity returns – Historical 10-year government bond yield = Historical equity risk premium

4.6% – 2.8% = 1.8%

解析:

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium,根据此等式,我们就可以反求出Historical equity risk premium= 4.6% – 2.8% = 1.8%注意到题目要求的是历史数据 所以求解此题时都应该用表格第一列的数据

老师,请问building block的计算Euqity Return,一般就直接用government bond yield (Rf) + Equity Risk Premium就可以了吗; 会用到Bond yield 自己本身building block 的公式吗 (Bond return = Rf + term premium + credit premium + liquidity premium)? 如果一道大题各种数据都有,很容易不知道到底该用哪个。另外Bond yield本身的building block要求掌握公式计算吗?谢谢


1 个答案

源_品职助教 · 2021年11月01日

嗨,爱思考的PZer你好:


Building block的计算Euqity Return,一般就直接用government bond yield (Rf) + Equity Risk Premium

Bond return = Rf + term premium + credit premium + liquidity premium这个应该只会在计算债券收益的时候进行考察,不会穿擦到股权收益里考。

Bond yield本身的building block要求掌握公式。

不客气,预祝考试顺利~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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